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2014 | 8 | nr 1/2 | 25--38
Tytuł artykułu

Selected Approaches for Testing Asset Pricing Models Using Polish Stock Market Data

Treść / Zawartość
Warianty tytułu
Języki publikacji
EN
Abstrakty
EN
The main objective of this paper is to discuss alternative methods for testing the Fama-French (FF) three-factor asset pricing model. The properties of the selected methods are compared through a simulation study. The main stress is put on the behaviour of the selected methods for small samples. The parameters used in the simulation study are obtained on the basis of real data coming from the Polish stock market (Warsaw Stock Exchange). Different sample characteristics such as homoscedasticity, conditional heteroscedasticity and autocorrelation as well as heteroscedasticity are tested. (original abstract)
Rocznik
Tom
8
Numer
Strony
25--38
Opis fizyczny
Twórcy
  • AGH University of Science and Technology Kraków, Poland
autor
  • AGH University of Science and Technology Kraków, Poland
Bibliografia
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  • Andrews, D.W.K., 1991. Heteroscedasticity and Autocorrelation Consistent Covariance Matrix Estimation. Econometrica, 59, pp. 817-858.
  • Chen, R., Kan, R., 2004. Finite sample analysis of two-pass cross-sectional regressions. Working paper (University of Toronto).
  • Cochrane, J.H., 2001. Asset Pricing. Princeton University Press.
  • Czapkiewicz, A., Skalna, I., 2011. The performance of the Fama-French model for the Warsaw Stock Exchange boom and bust cycles. Bank i Kredyt, 42, pp. 61-80.
  • Fama, E.F., MacBeth, J., 1973. Risk. Return and Equilibrium: Empirical Tests. Journal of Political Economy, 81, pp. 607-636.
  • Fama, E.F., French, K.R., 1993. Common Risk Factors in the Returns on Stocks and Bonds. Journal of Financial Economics, 33, pp. 3-56.
  • Fama, E.F., French, K.R., 1996. Multifactor Explanations of Asset Pricing Anomalies. Journal of Finance, 51(4), pp. 55-84.
  • Gibbons, M.R., 1982. Multivariate tests of financial models: A new approach. Journal of Financial Economics, 10 pp. 3-27.
  • Gibbons, M.R., Ross, S.A., Shanken, J., 1989. A Test of the Efficiency of a Given Portfolio. Econometrica, 57(5), pp. 1121-1152.
  • Greene, W.H., 2008. Econometric Analysis. 7th edition. Prentice Hall.
  • Hansen, L.P., 1982. Large Sample Properties of Generalized Method of Moments Estimators. Econometrica, 50(4), pp. 1029-1054.
  • Jensen, M.C., Black, F., Scholes, M.S., 1972. The Capital Asset Pricing Model: Some Empirical Tests. Studies in the Theory of Capital Markets, Praeger Publishers Inc.
  • Jagannathan, R., Wang, Z., 1998. An asymptotic theory for estimating beta-pricing models using cross-sectional regression. Journal of Finance, 57, pp. 2337-2367.
  • Kim, D., 1995. The Errors in the Variables Problem in the Cross-Section of Expected Stock Returns. Journal of Finance, 50, pp. 1605-1634.
  • Lettau, M., Ludvigsson, S., 2001. Consumption, aggregate wealth and expected stock returns. Journal of Finance, 56, pp. 815-850.
  • MacKinlay, A.C., Richardson, M.P., 1991. Using Generalized Method of Moments to Test Mean-Variance Efficiency. Journal of Finance, 46(2), pp. 511-527.
  • Maroney, N., Protopapadakis A., 2002. The Book-to-Market and Size Effects in a General Asset Pricing Model: Evidence from Seven National Markets. European Finance Review, 6, pp. 189-221.
  • Ogaki, M., 1993. Generalized Method of Moments: Econometric Applications. Handbook of Statistics, 11, pp. 455-485.
  • Schneider, T., Neumaier, A., 2001. Algorithm 808: Arfit-a Matlab package for the estimation of parameters and eigenmodes of multivariate autoregressive models. ACM T. Math. Software, 27, pp. 58-65.
  • Shanken, J., 1992. On the Estimation of Beta-Pricing Models. The Review of Financial Studies, 5, pp. 1-33.
  • Shanken, J., Zhou G., 2007. Estimating and Testing Beta Pricing Models: Alternative Methods and Their Performance in Simulations. Journal of Financial Economics, 84, pp. 40-86.
Typ dokumentu
Bibliografia
Identyfikatory
Identyfikator YADDA
bwmeta1.element.ekon-element-000171387689

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